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Here \\(\\{B_t\\), \\(t\\in[0,1]\\}\\) is a standard Brownian motion, \\(\\{u_t\\), \\(t\\in[0,1]\\}\\) is a progressively measurable and bounded stochastic process and \\(V\\) is a Hilbert-Schmidt map from \\(L^2([0,1], dt)\\) into itself. The motivation for this problem comes from the study of stochastic integration with respect to the fractional Brownian motion \\(\\{B_t^H\\), \\(t\\in[0,1]\\}\\). Indeed, it is known that this process possesses an integral representation like \\(B_t^H=\\int_0^t K_H(t,s) dB_s\\), where \\(K_H(t,s)\\) is a singular kernel. Path properties for stochastic Volterra integrals with regular kernels have been studied by \\textit{M. A. Berger} and \\textit{V. J. Mizel} [J. Integral Equ. 2, 187--245 (1980; Zbl 0442.60064)] and \\textit{G. Da Prato} and \\textit{J. Zabczyk} [``Ergodicity for infinite dimensional systems'' (1996; Zbl 0849.60052)]. The main result establishes that under appropriate conditions there is a version of a suitably defined stochastic integral \\(M^V(u)\\) with H\u00f6lder continuous paths. In fact, \\(M^V(u)\\) is obtained by left fractional integration of order \\(\\alpha\\in(0,1)\\) of some related process in \\(L^p\\). Thus, almost surely, \\(M^V(u)\\) belongs to the Besov space \\(I_{0^+}^\\alpha({\\mathcal L}^p) \\) which is continuously embedded in the space of \\(\\alpha-{1\\over p}\\)-H\u00f6lder continuous functions provided that \\(\\alpha-{1\\over p}>0\\) [see for instace \\textit{S. G. Samko, A. A. Kilbas} and \\textit{O. I. Marichev}, ``Fractional integrals and derivatives: Theory and applications'' (1993; Zbl 0617.26004)]. As an application it is proved that if \\(\\{B_t^H\\), \\(t\\in[0,1]\\}\\) is a fractional Brownian motion with Hurst parameter \\(H\\in(0,1)\\), then the stochastic integral \\(\\int_0^t u_s dB_s^H\\) of processes \\(u\\in L^r(\\Omega, {\\mathcal L}^r)\\) with \\(r>{1\\over H}\\vee 2\\) is \\(H-{1\\over r}-\\varepsilon\\)-H\u00f6lder continuous for any \\(0<\\varepsilon \\leq H-{1\\over 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